VS 2008 target .NET 3.5, release mode.
One windows form application project with 2 forms:
First form with a button with the next code:

           try
           {
               using ( SecondForm secondForm = new SecondForm() )
              {
                     secondForm.ShowDialog();
              }                
           }
           catch ( Exception )
           {

               MessageBox.Show( "Error" );

           }

Second form with a button with the next code:

throw new Exception();

When I run the solution with F5 everything it is ok:
See first form
press button
See second form
press button
Second form disappears
the message box is displayed

If I run outside of VS.NET or with CTRL+F5:
See first form
press button
See second form
press button
NET error message window is displayed (Second form is still on screen)

Have you any idea why?

Error is:
See the end of this message for details on invoking
just-in-time (JIT) debugging instead of this dialog box.

************** Exception Text **************
System.Exception: Exception of type 'System.Exception' was thrown.
  at UI2.SecondForm.button1_Click(Object sender, EventArgs e) in
C:\Code\Invat\UI2\SecondForm.cs:line 21
  at System.Windows.Forms.Control.OnClick(EventArgs e)
  at System.Windows.Forms.Button.OnClick(EventArgs e)
  at System.Windows.Forms.Button.OnMouseUp(MouseEventArgs mevent)
  at System.Windows.Forms.Control.WmMouseUp(Message& m, MouseButtons
button, Int32 clicks)
  at System.Windows.Forms.Control.WndProc(Message& m)
  at System.Windows.Forms.ButtonBase.WndProc(Message& m)
  at System.Windows.Forms.Button.WndProc(Message& m)
  at System.Windows.Forms.Control.ControlNativeWindow.OnMessage(Message& m)
  at System.Windows.Forms.Control.ControlNativeWindow.WndProc(Message& m)
  at System.Windows.Forms.NativeWindow.Callback(IntPtr hWnd, Int32 msg,
IntPtr wparam, IntPtr lparam)

************** Loaded Assemblies **************
mscorlib
   Assembly Version: 2.0.0.0
   Win32 Version: 2.0.50727.1433 (REDBITS.050727-1400)
   CodeBase:
file:///C:/WINDOWS/Microsoft.NET/Framework/v2.0.50727/mscorlib.dll
----------------------------------------
UI2
   Assembly Version: 1.0.0.0
   Win32 Version: 1.0.0.0
   CodeBase: file:///C:/Code/Invat/UI2/bin/Release/UI2.exe
----------------------------------------
System.Windows.Forms
   Assembly Version: 2.0.0.0
   Win32 Version: 2.0.50727.1433 (REDBITS.050727-1400)
   CodeBase:
file:///C:/WINDOWS/assembly/GAC_MSIL/System.Windows.Forms/2.0.0.0__b77a5c561934e089/System.Windows.Forms.dll
----------------------------------------
System
   Assembly Version: 2.0.0.0
   Win32 Version: 2.0.50727.1433 (REDBITS.050727-1400)
   CodeBase:
file:///C:/WINDOWS/assembly/GAC_MSIL/System/2.0.0.0__b77a5c561934e089/System.dll
----------------------------------------
System.Drawing
   Assembly Version: 2.0.0.0
   Win32 Version: 2.0.50727.1433 (REDBITS.050727-1400)
   CodeBase:
file:///C:/WINDOWS/assembly/GAC_MSIL/System.Drawing/2.0.0.0__b03f5f7f11d50a3a/System.Drawing.dll
----------------------------------------

************** JIT Debugging **************
To enable just-in-time (JIT) debugging, the .config file for this
application or computer (machine.config) must have the
jitDebugging value set in the system.windows.forms section.
The application must also be compiled with debugging
enabled.

For example:

<configuration>
   <system.windows.forms jitDebugging="true" />
</configuration>

When JIT debugging is enabled, any unhandled exception
will be sent to the JIT debugger registered on the computer
rather than be handled by this dialog box.